diff --git a/matlab/dyn_second_order_solver.m b/matlab/dyn_second_order_solver.m
index d62f7b407f5ab7236d90e529fac4f371e712acb5..d676eb0510fa1a614a1f2ede0701bc0debaef7bf 100644
--- a/matlab/dyn_second_order_solver.m
+++ b/matlab/dyn_second_order_solver.m
@@ -105,7 +105,6 @@ function dr = dyn_second_order_solver(jacobia,hessian,dr,M_,threads_ABC,threads_
% Jacobian with respect to the variables with the highest lead
fyp = jacobia(:,kstate(k1,3)+nnz(M_.lead_lag_incidence(M_.maximum_endo_lag+1,:)));
B(:,nstatic+npred-dr.nboth+1:end) = fyp;
- gx1 = dr.ghx;
[junk,k1,k2] = find(M_.lead_lag_incidence(M_.maximum_endo_lag+M_.maximum_endo_lead+1,order_var));
A(1:M_.endo_nbr,nstatic+1:nstatic+npred)=...
A(1:M_.endo_nbr,nstatic+[1:npred])+fyp*gx1(k1,1:npred);
@@ -185,54 +184,4 @@ function dr = dyn_second_order_solver(jacobia,hessian,dr,M_,threads_ABC,threads_
% deterministic exogenous variables
if M_.exo_det_nbr > 0
- hud = dr.ghud{1}(nstatic+1:nstatic+npred,:);
- zud=[zeros(np,M_.exo_det_nbr);dr.ghud{1};gx(:,1:npred)*hud;zeros(M_.exo_nbr,M_.exo_det_nbr);eye(M_.exo_det_nbr)];
- R1 = hessian*kron(zx,zud);
- dr.ghxud = cell(M_.exo_det_length,1);
- kf = [M_.endo_nbr-nyf+1:M_.endo_nbr];
- kp = nstatic+[1:npred];
- dr.ghxud{1} = -M1*(R1+f1*dr.ghxx(kf,:)*kron(dr.ghx(kp,:),dr.ghud{1}(kp,:)));
- Eud = eye(M_.exo_det_nbr);
- for i = 2:M_.exo_det_length
- hudi = dr.ghud{i}(kp,:);
- zudi=[zeros(np,M_.exo_det_nbr);dr.ghud{i};gx(:,1:npred)*hudi;zeros(M_.exo_nbr+M_.exo_det_nbr,M_.exo_det_nbr)];
- R2 = hessian*kron(zx,zudi);
- dr.ghxud{i} = -M2*(dr.ghxud{i-1}(kf,:)*kron(Gy,Eud)+dr.ghxx(kf,:)*kron(dr.ghx(kp,:),dr.ghud{i}(kp,:)))-M1*R2;
- end
- R1 = hessian*kron(zu,zud);
- dr.ghudud = cell(M_.exo_det_length,1);
- kf = [M_.endo_nbr-nyf+1:M_.endo_nbr];
-
- dr.ghuud{1} = -M1*(R1+f1*dr.ghxx(kf,:)*kron(dr.ghu(kp,:),dr.ghud{1}(kp,:)));
- Eud = eye(M_.exo_det_nbr);
- for i = 2:M_.exo_det_length
- hudi = dr.ghud{i}(kp,:);
- zudi=[zeros(np,M_.exo_det_nbr);dr.ghud{i};gx(:,1:npred)*hudi;zeros(M_.exo_nbr+M_.exo_det_nbr,M_.exo_det_nbr)];
- R2 = hessian*kron(zu,zudi);
- dr.ghuud{i} = -M2*dr.ghxud{i-1}(kf,:)*kron(hu,Eud)-M1*R2;
- end
- R1 = hessian*kron(zud,zud);
- dr.ghudud = cell(M_.exo_det_length,M_.exo_det_length);
- dr.ghudud{1,1} = -M1*R1-M2*dr.ghxx(kf,:)*kron(hud,hud);
- for i = 2:M_.exo_det_length
- hudi = dr.ghud{i}(nstatic+1:nstatic+npred,:);
- zudi=[zeros(np,M_.exo_det_nbr);dr.ghud{i};gx(:,1:npred)*hudi+dr.ghud{i-1}(kf,:);zeros(M_.exo_nbr+M_.exo_det_nbr,M_.exo_det_nbr)];
- R2 = hessian*kron(zudi,zudi);
- dr.ghudud{i,i} = -M2*(dr.ghudud{i-1,i-1}(kf,:)+...
- 2*dr.ghxud{i-1}(kf,:)*kron(hudi,Eud) ...
- +dr.ghxx(kf,:)*kron(hudi,hudi))-M1*R2;
- R2 = hessian*kron(zud,zudi);
- dr.ghudud{1,i} = -M2*(dr.ghxud{i-1}(kf,:)*kron(hud,Eud)+...
- dr.ghxx(kf,:)*kron(hud,hudi))...
- -M1*R2;
- for j=2:i-1
- hudj = dr.ghud{j}(kp,:);
- zudj=[zeros(np,M_.exo_det_nbr);dr.ghud{j};gx(:,1:npred)*hudj;zeros(M_.exo_nbr+M_.exo_det_nbr,M_.exo_det_nbr)];
- R2 = hessian*kron(zudj,zudi);
- dr.ghudud{j,i} = -M2*(dr.ghudud{j-1,i-1}(kf,:)+dr.ghxud{j-1}(kf,:)* ...
- kron(hudi,Eud)+dr.ghxud{i-1}(kf,:)* ...
- kron(hudj,Eud)+dr.ghxx(kf,:)*kron(hudj,hudi))-M1*R2;
- end
-
- end
end
diff --git a/matlab/stochastic_solvers.m b/matlab/stochastic_solvers.m
index 17b407bdbcb85f4a9dc1da77090707e4d326ddca..47f238acb8c27ae7e2eab895a94dec163300c9ef 100644
--- a/matlab/stochastic_solvers.m
+++ b/matlab/stochastic_solvers.m
@@ -182,20 +182,6 @@ else
end
end
- %exogenous deterministic variables
- if M_.exo_det_nbr > 0
- f1 = sparse(jacobia_(:,nonzeros(M_.lead_lag_incidence(M_.maximum_endo_lag+2:end,order_var))));
- f0 = sparse(jacobia_(:,nonzeros(M_.lead_lag_incidence(M_.maximum_endo_lag+1,order_var))));
- fudet = sparse(jacobia_(:,nz+M_.exo_nbr+1:end));
- M1 = inv(f0+[zeros(M_.endo_nbr,nstatic) f1*dr.gx zeros(M_.endo_nbr,nfwrds-nboth)]);
- M2 = M1*f1;
- dr.ghud = cell(M_.exo_det_length,1);
- dr.ghud{1} = -M1*fudet;
- for i = 2:M_.exo_det_length
- dr.ghud{i} = -M2*dr.ghud{i-1}(end-nfwrds+1:end,:);
- end
- end
-
if options_.order > 1
% Second order
dr = dyn_second_order_solver(jacobia_,hessian1,dr,M_,...
@@ -204,6 +190,80 @@ else
end
end
+%exogenous deterministic variables
+if M_.exo_det_nbr > 0
+ gx = dr.gx;
+ f1 = sparse(jacobia_(:,nonzeros(M_.lead_lag_incidence(M_.maximum_endo_lag+2:end,order_var))));
+ f0 = sparse(jacobia_(:,nonzeros(M_.lead_lag_incidence(M_.maximum_endo_lag+1,order_var))));
+ fudet = sparse(jacobia_(:,nz+M_.exo_nbr+1:end));
+ M1 = inv(f0+[zeros(M_.endo_nbr,nstatic) f1*gx zeros(M_.endo_nbr,nfwrds-nboth)]);
+ M2 = M1*f1;
+ dr.ghud = cell(M_.exo_det_length,1);
+ dr.ghud{1} = -M1*fudet;
+ for i = 2:M_.exo_det_length
+ dr.ghud{i} = -M2*dr.ghud{i-1}(end-nfwrds+1:end,:);
+ end
+
+ if options_.order > 1
+ lead_lag_incidence = M_.lead_lag_incidence;
+ k0 = find(lead_lag_incidence(M_.maximum_endo_lag+1,order_var)');
+ k1 = find(lead_lag_incidence(M_.maximum_endo_lag+2,order_var)');
+ hu = dr.ghu(nstatic+[1:npred],:);
+ hud = dr.ghud{1}(nstatic+1:nstatic+npred,:);
+ zx = [eye(npred);dr.ghx(k0,:);gx*dr.Gy;zeros(M_.exo_nbr+M_.exo_det_nbr, ...
+ npred)];
+ zu = [zeros(npred,M_.exo_nbr); dr.ghu(k0,:); gx*hu; zeros(M_.exo_nbr+M_.exo_det_nbr, ...
+ M_.exo_nbr)];
+ zud=[zeros(npred,M_.exo_det_nbr);dr.ghud{1};gx(:,1:npred)*hud;zeros(M_.exo_nbr,M_.exo_det_nbr);eye(M_.exo_det_nbr)];
+ R1 = hessian1*kron(zx,zud);
+ dr.ghxud = cell(M_.exo_det_length,1);
+ kf = [M_.endo_nbr-nfwrd-nboth+1:M_.endo_nbr];
+ kp = nstatic+[1:npred];
+ dr.ghxud{1} = -M1*(R1+f1*dr.ghxx(kf,:)*kron(dr.ghx(kp,:),dr.ghud{1}(kp,:)));
+ Eud = eye(M_.exo_det_nbr);
+ for i = 2:M_.exo_det_length
+ hudi = dr.ghud{i}(kp,:);
+ zudi=[zeros(npred,M_.exo_det_nbr);dr.ghud{i};gx(:,1:npred)*hudi;zeros(M_.exo_nbr+M_.exo_det_nbr,M_.exo_det_nbr)];
+ R2 = hessian1*kron(zx,zudi);
+ dr.ghxud{i} = -M2*(dr.ghxud{i-1}(kf,:)*kron(dr.Gy,Eud)+dr.ghxx(kf,:)*kron(dr.ghx(kp,:),dr.ghud{i}(kp,:)))-M1*R2;
+ end
+ R1 = hessian1*kron(zu,zud);
+ dr.ghudud = cell(M_.exo_det_length,1);
+ dr.ghuud{1} = -M1*(R1+f1*dr.ghxx(kf,:)*kron(dr.ghu(kp,:),dr.ghud{1}(kp,:)));
+ Eud = eye(M_.exo_det_nbr);
+ for i = 2:M_.exo_det_length
+ hudi = dr.ghud{i}(kp,:);
+ zudi=[zeros(npred,M_.exo_det_nbr);dr.ghud{i};gx(:,1:npred)*hudi;zeros(M_.exo_nbr+M_.exo_det_nbr,M_.exo_det_nbr)];
+ R2 = hessian1*kron(zu,zudi);
+ dr.ghuud{i} = -M2*dr.ghxud{i-1}(kf,:)*kron(hu,Eud)-M1*R2;
+ end
+ R1 = hessian1*kron(zud,zud);
+ dr.ghudud = cell(M_.exo_det_length,M_.exo_det_length);
+ dr.ghudud{1,1} = -M1*R1-M2*dr.ghxx(kf,:)*kron(hud,hud);
+ for i = 2:M_.exo_det_length
+ hudi = dr.ghud{i}(nstatic+1:nstatic+npred,:);
+ zudi=[zeros(npred,M_.exo_det_nbr);dr.ghud{i};gx(:,1:npred)*hudi+dr.ghud{i-1}(kf,:);zeros(M_.exo_nbr+M_.exo_det_nbr,M_.exo_det_nbr)];
+ R2 = hessian1*kron(zudi,zudi);
+ dr.ghudud{i,i} = -M2*(dr.ghudud{i-1,i-1}(kf,:)+...
+ 2*dr.ghxud{i-1}(kf,:)*kron(hudi,Eud) ...
+ +dr.ghxx(kf,:)*kron(hudi,hudi))-M1*R2;
+ R2 = hessian1*kron(zud,zudi);
+ dr.ghudud{1,i} = -M2*(dr.ghxud{i-1}(kf,:)*kron(hud,Eud)+...
+ dr.ghxx(kf,:)*kron(hud,hudi))...
+ -M1*R2;
+ for j=2:i-1
+ hudj = dr.ghud{j}(kp,:);
+ zudj=[zeros(npred,M_.exo_det_nbr);dr.ghud{j};gx(:,1:npred)*hudj;zeros(M_.exo_nbr+M_.exo_det_nbr,M_.exo_det_nbr)];
+ R2 = hessian1*kron(zudj,zudi);
+ dr.ghudud{j,i} = -M2*(dr.ghudud{j-1,i-1}(kf,:)+dr.ghxud{j-1}(kf,:)* ...
+ kron(hudi,Eud)+dr.ghxud{i-1}(kf,:)* ...
+ kron(hudj,Eud)+dr.ghxx(kf,:)*kron(hudj,hudi))-M1*R2;
+ end
+
+ end
+ end
+end
+
if options_.loglinear == 1
% this needs to be extended for order=2,3
k = find(dr.kstate(:,2) <= M_.maximum_endo_lag+1);